There’s a story in Vanity Fair about the Bear Stearns collapse – good reading! All fluff, of course, but entertaining fluff.
Today’s factoid is the claim that US Financials have just experienced an 11-standard-deviation price move. But don’t tell Merrill!
Speaking of multiple standard deviation events … PerpetualDiscounts didn’t lose money today! The last up-day was June 24; since then, there were sixteen consecutive down days, in the course of which PerpetualDiscounts lost 8.85% of their value, with the weighted-mean dividend yield increasing from 6.01% to 6.63%. I hope that’s some kind of record … all this pain has to be worth something! We shall now wait with bated breath to see whether today’s return represents a turning of the tide or a dead cat bounce.
After the bounce, PerpetualDiscounts yield 6.56%, equivalent to 9.18% interest after the 1.4x conversion factor. Long corporates ticked up to about 6.18%, so the Pre-Tax Interest Equivalent Spread is now about 300bp.
| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30 | |||||||
| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.33% | 3.95% | 39,511 | 0.08 | 1 | +0.000% | 1,122.4 |
| Fixed-Floater | 4.69% | 4.42% | 72,218 | 16.30 | 6 | -0.5099% | 1,082.8 |
| Floater | 4.16% | 4.19% | 50,364 | 17.05 | 3 | -0.7498% | 885.7 |
| Op. Retract | 4.99% | 4.55% | 150,496 | 3.13 | 17 | +0.0064% | 1,040.6 |
| Split-Share | 5.44% | 6.66% | 63,769 | 4.08 | 14 | +0.5637% | 1,016.4 |
| Interest Bearing | 6.13% | 6.05% | 43,167 | 3.72 | 3 | +0.2048% | 1,122.5 |
| Perpetual-Premium | 6.19% | 6.19% | 68,639 | 10.61 | 4 | -0.5206% | 973.8 |
| Perpetual-Discount | 6.50% | 6.56% | 236,355 | 13.13 | 67 | +0.9720% | 814.1 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BAM.PR.K | Floater | -2.3578% | |
| CU.PR.A | PerpetualDiscount | -2.1277% | Now with a pre-tax bid-YTW of 6.40% based on a bid of 23.00 and a limitMaturity. |
| TCA.PR.X | PerpetualDiscount | -1.5707% | Now with a pre-tax bid-YTW of 5.93% based on a bid of 47.00 and a limitMaturity. |
| BCE.PR.G | FixFloat | -1.4583% | |
| MFC.PR.C | PerpetualDiscount | -1.2243% | Now with a pre-tax bid-YTW of 6.42% based on a bid of 17.75 and a limitMaturity. |
| CM.PR.G | PerpetualDiscount | -1.0864% | Now with a pre-tax bid-YTW of 7.46% based on a bid of 18.21 and a limitMaturity. |
| CL.PR.B | PerpetualPremium | -1.0588% | Now with a pre-tax bid-YTW of 6.03% based on a bid of 25.23 and a call 2011-1-30 at 25.00. |
| BNA.PR.C | SplitShare | -1.0556% | Asset coverage of 3.2+:1 as of June 30, according to the company. Now with a pre-tax bid-YTW of 8.70% based on a bid of 17.81 and a softMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (6.22% to 2010-9-30) and BNA.PR.B (8.49% to 2016-3-25). |
| BCE.PR.Z | FixFloat | -1.0412% | |
| PWF.PR.G | PerpetualDiscount | +1.0385% | Now with a pre-tax bid-YTW of 6.34% based on a bid of 23.35 and a limitMaturity. |
| SLF.PR.B | PerpetualDiscount | +1.0609% | Now with a pre-tax bid-YTW of 6.71% based on a bid of 18.10 and a limitMaturity. |
| PWF.PR.I | PerpetualDiscount | +1.1064% | Now with a pre-tax bid-YTW of 6.33% based on a bid of 23.76 and a limitMaturity. |
| BAM.PR.J | OpRet | +1.1236% | Now with a pre-tax bid-YTW of 6.91% based on a bid of 22.50 and a softMaturity 2018-3-30 at 25.00. Compare with BAM.PR.H (6.43% to 2012-3-30), BAM.PR.I (6.16% to 2013-12-30) and BAM.PR.O (6.45% to 2013-6-30). |
| BNS.PR.O | PerpetualDiscount | +1.1349% | Now with a pre-tax bid-YTW of 6.07% based on a bid of 23.17 and a limitMaturity. |
| GWO.PR.I | PerpetualDiscount | +1.1730% | Now with a pre-tax bid-YTW of 6.60% based on a bid of 17.25 and a limitMaturity. |
| RY.PR.G | PerpetualDiscount | +1.2325% | Now with a pre-tax bid-YTW of 6.35% based on a bid of 18.07 and a limitMaturity. |
| NA.PR.K | PerpetualDiscount | +1.2742% | Now with a pre-tax bid-YTW of 6.35% based on a bid of 23.05 and a limitMaturity. |
| BNS.PR.M | PerpetualDiscount | +1.2958% | Now with a pre-tax bid-YTW of 6.29% based on a bid of 17.98 and a limitMaturity. |
| NA.PR.L | PerpetualDiscount | +1.3514% | Now with a pre-tax bid-YTW of 6.75% based on a bid of 18.00 and a limitMaturity. |
| BNS.PR.K | PerpetualDiscount | +1.3563% | Now with a pre-tax bid-YTW of 6.21% based on a bid of 19.43 and a limitMaturity. |
| POW.PR.D | PerpetualDiscount | +1.3594% | Now with a pre-tax bid-YTW of 6.76% based on a bid of 18.64 and a limitMaturity. |
| HSB.PR.D | PerpetualDiscount | +1.4218% | Now with a pre-tax bid-YTW of 6.57% based on a bid of 19.26 and a limitMaturity. |
| POW.PR.C | PerpetualDiscount | +1.4741% | Now with a pre-tax bid-YTW of 6.85% based on a bid of 21.34 and a limitMaturity. |
| FBS.PR.B | SplitShare | +1.4878% | Asset coverage of 1.5+:1 as of July 10, according to TD Securities. Now with a pre-tax bid-YTW of 6.42% based on a bid of 9.55 and a hardMaturity 2011-12-15. |
| CM.PR.J | PerpetualDiscount | +1.6026% | Now with a pre-tax bid-YTW of 7.14% based on a bid of 15.85 and a limitMaturity. |
| BMO.PR.J | PerpetualDiscount | +1.6468% | Now with a pre-tax bid-YTW of 6.40% based on a bid of 17.90 and a limitMaturity. |
| RY.PR.A | PerpetualDiscount | +1.6657% | Now with a pre-tax bid-YTW of 6.19% based on a bid of 18.31 and a limitMaturity. |
| PWF.PR.F | PerpetualDiscount | +1.7205% | Now with a pre-tax bid-YTW of 6.76% based on a bid of 19.51 and a limitMaturity. |
| SLF.PR.A | PerpetualDiscount | +1.7514% | Now with a pre-tax bid-YTW of 6.67% based on a bid of 18.01 and a limitMaturity. |
| ELF.PR.F | PerpetualDiscount | +1.7816% | Now with a pre-tax bid-YTW of 7.55% based on a bid of 17.71 and a limitMaturity. |
| RY.PR.E | PerpetualDiscount | +1.9608% | Now with a pre-tax bid-YTW of 6.30% based on a bid of 18.20 and a limitMaturity. |
| GWO.PR.G | PerpetualDiscount | +2.0291% | Now with a pre-tax bid-YTW of 6.71% based on a bid of 19.61 and a limitMaturity. |
| RY.PR.B | PerpetualDiscount | +2.1053% | Now with a pre-tax bid-YTW of 6.17% based on a bid of 19.40 and a limitMaturity. |
| MFC.PR.B | PerpetualDiscount | +2.1108% | Now with a pre-tax bid-YTW of 6.09% based on a bid of 19.35 and a limitMaturity. |
| TD.PR.P | PerpetualDiscount | +2.6963% | Now with a pre-tax bid-YTW of 6.06% based on a bid of 21.71 and a limitMaturity. |
| RY.PR.W | PerpetualDiscount | +2.7835% | Now with a pre-tax bid-YTW of 6.26% based on a bid of 19.94 and a limitMaturity. |
| DFN.PR.A | SplitShare | +2.9928% | Asset coverage of 2.1+:1 as of July 15 according to the company. Now with a pre-tax bid-YTW of 5.36% based on a bid of 9.98 and a hardMaturity 2014-12-1. |
| PWF.PR.E | PerpetualDiscount | +3.0241% | Now with a pre-tax bid-YTW of 6.88% based on a bid of 20.10 and a limitMaturity. |
| CM.PR.E | PerpetualDiscount | +3.1450% | Now with a pre-tax bid-YTW of 7.28% based on a bid of 19.35 and a limitMaturity. |
| RY.PR.F | PerpetualDiscount | +3.1501% | Now with a pre-tax bid-YTW of 6.30% based on a bid of 18.01 and a limitMaturity. |
| SLF.PR.D | PerpetualDiscount | +3.2934% | Now with a pre-tax bid-YTW of 6.52% based on a bid of 17.25 and a limitMaturity. |
| SBC.PR.A | SplitShare | +3.6269% | Asset coverage of 1.9+:1 as of July 10, according to the company. Now with a pre-tax bid-YTW of 5.29% based on a bid of 10.00 and a hardMaturity 2012-11-30 at 10.00. |
| POW.PR.B | PerpetualDiscount | +4.0462% | Now with a pre-tax bid-YTW of 6.81% based on a bid of 19.80 and a limitMaturity. |
| ELF.PR.G | PerpetualDiscount | +4.9020% | Now with a pre-tax bid-YTW of 7.47% based on a bid of 16.05 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CM.PR.A | OpRet | 419,550 | Nesbit crossed 25,000 at 25.76 and 375,000 at 25.75. Now with a pre-tax bid-YTW of 2.00% based on a bid of 25.76 and a call 2008-11-30 at 25.75. |
| BNS.PR.L | PerpetualDiscount | 56,682 | Nesbitt crossed 35,000 at 18.00. Now with a pre-tax bid-YTW of 6.31% based on a bid of 17.93 and a limitMaturity. |
| NA.PR.K | PerpetualDiscount | 55,400 | Nesbitt crossed 50,000 at 23.05. Now with a pre-tax bid-YTW of 6.35% based on a bid of 23.05 and a limitMaturity. |
| TD.PR.N | OpRet | 52,750 | Nesbitt crossed 50,000 at 25.90. Now with a pre-tax bid-YTW of 3.90% based on a bid of 25.85 and a softMaturity 2014-1-30 at 25.00. |
| CM.PR.J | PerpetualDiscount | 44,990 | RBC bought 14,500 from Nesbitt at 15.75. Now with a pre-tax bid-YTW of 7.14% based on a bid of 15.85 and a limitMaturity. |
There were twenty-eight other index-included $25-pv-equivalent issues trading over 10,000 shares today.
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